Recent News

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March 2024
The article A Score-Driven Filter for Causal Regression Models with Time-Varying Parameters and Endogenous Regressors is now available as a TI discussion paper. Joint work with Noah Stegehuis.

March 2024
Thank you to Etienne Wijler for joining the co-supervision team for the PhD project of Marthijn den Hartog. Looking forward to a productive collaboration!

February 2024
Frederik Stroes and Anthony van Veen have started their PhD project in the department of Econometrics and Data Science. Welcome! Co-supervision with Ilka va de Werve, Sean Telg, and Siem Jan Koopman.

February 2024
The paper A robust Beveridge–Nelson Decomposition Using a Score-Driven Approach with an Application is published the journal Economics Letters. Blasques, F., van Brummelen, J., Gorgi, P. & Koopman, S. J., Mar 2024, In: Economics Letters. 236, p. 1-5 5 p., 111588.

January 2024
Andres Guzman is joining the team as a research assistant. Welcome Andres! Looking forward to productive research in 2024.

December 2023
The paper Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting co-authored with Karim Moussa and Siem Jan Koopman is now available as a TI discussion paper.

November 2023
The article Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions is forthcoming in the Journal of Econometrics. Joint work with Janneke van Brummelen, Paolo Gorgi and Siem Jan Koopman.

November 2023
The article Autoregressive conditional betas with Christian Francq and Sébastien Laurent is forthcoming in Journal of Econometrics.

October 2023
The research working paper Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics, is now available as a Tinbergen Institute discussion paper. Joint work with Gabriele Mingoli and Siem Jan Koopman.

October 2023
The doctoral candidate Janneke van Brummelen has successfully defended her PhD thesis. Congratulations Janneke!

September 2023
The doctoral candidate Kevin Cecere Palazzo is starting his PhD research. Welcome Kevin!

September 2023
The doctoral candidate Ilka van de Werve has successfully defended her PhD thesis. Congratulations Ilka!

August 2023
The article Stochastic properties of nonlinear locally-nonstationary filters is published in the Journal of Econometrics. Joint work with Marc Nientker.

April 2023
The paper A Multilevel Factor Model for Economic Activity with Observation-Driven Dynamic Factors, with Mariia Artemova and Siem Jan Koopman, is out as a Tinbergen Institute Discussion Paper.

April 2023
The research working paper Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression, is now available as a Tinbergen Institute discussion paper. Joint work with Karim Moussa and Siem Jan Koopman.

May 2023
The paper on Quasi score-driven models, with Christian Francq and Sébastien Laurent is now published in the Journal of Econometrics.

March 2023
The editor's foreword for the Journal of Econometrics themed issue Time-Varying Parameters in Econometrics is out. Joint with Andrew Harvey, Siem Jan Koopman, and Andre Lucas.

February 2023
The research paper Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model, with James Sampi Bravo, Paolo Gorgi and Siem Jan Koopman is now available as a Tinbergen Institute Discussion paper.

February 2023
The editor's foreword for the Journal of Econometrics themed issue Time-Varying Parameters in Econometrics is out. Joint with Andrew Harvey, Siem Jan Koopman, and Andre Lucas.

January 2023
Welcome to Kamalika Patra and Robin van Kooten for starting their PhDs as external doctoral researchers.

January 2023
Visiting the Machine Learning group of the CWI in Amsterdam. Very grateful to Peter Grunwald and the rest of the group for receiving me.

December 2022
The article “Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions” is now available as a Tinbergen Institute discussion paper.

November 2022
Thanks to all those involved in preparing the Metyis workshop on Data Science for Business Optimisation. Thank you also to the participants of the workshop on Advanced Machine Learning Methods.

September 2022
The paper “Stochastic properties of nonlinear locally-nonstationary filters”, co-authored with Marc Nientker, is accepted for publication in the Journal of Econometrics.

August 2022
Just finished another summer course in Econometrics and Data Science methods at the Tinbergen Institute. Great group of participants. Course delivered jointly with professor Siem Jan Koopman. Big thanks to Mariia Artemova and Gabriele Mingoli for their fantastic assistance throughout the course. Thanks also to all the support staff from the Tinbergen Institute Summer School.

August 2022
The chapter “Score-Driven Models: Methods and Applications” to the Oxford Research Encyclopedia of Economics and Finance is now published. Joint work with Mariia Artemova, Janneke van Brummelen, and Siem Jan Koopman.

June 2022
The article "Quasi score-driven models" is forthcoming in the Journal of Econometrics. Joint work with Christian Francq and Sebastien Laurent.

March 2022
The article "A Time-Varying Parameter Model for Local Explosions" has been published in the Journal of Econometrics, 227, 1, p. 65-84 20. Joint work with Siem Jan Koopman and Marc Nientker.

February 2022
Marthijn den Hartog (Metyis) and Pieter de Kok (Coney Minds) have just started their phd project as external doctoral researchers. Welcome Marthijn and Pieter!

January 2022
The article "Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions" is now available as a Tinbergen Institute working paper. Joint work with Janneke van Brummelen, Paolo Gorgi and Siem Jan Koopman.

November 2021
A new TI discussion paper entitled "Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models" is now available! Joint work with Paolo Gorgi and Siem Jan Koopman.

September 2021
Gabriele Mingoli has joined our department as a doctoral researcher. Welcome Gabriele!

June 2021
The article "Maximum likelihood for Score-Driven Time-Series Models" has been accepted for publication in the Journal of Econometrics. Joint work with Janneke van Brummelen, Siem Jan Koopman and Andre Lucas.

June 2021
The article "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence" is now available as a TI discussion paper. Joint work with Enzo Di'nnocenzo and Siem Jan Koopman.

May 2021
The article "A Time-Varying Parameter Model for Local Explosions" has been accepted for publication in the Journal of Econometrics. Joint work with Siem Jan Koopman and Marc Nientker.

January 2021
A new TI discussion paper entitled "Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution" is now available! Joint work with Andre Lucas, Anne Opschoor, and Luca Rossini.

January 2021
The manuscript "Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data" has been accepted for publication in the International Journal of Forecasting. Joint work with Ilka van de Werve, Siem Jan Koopman and Meindert Hoogerkamp.

December 2020
A new working paper entitled "Forecasting in a changing world: from the great recession to the COVID-19 pandemic" co-authored with Mariia Artemova, Siem Jan Koopman and Zhaokun Zhang is now available as a TI discussion paper!

October 2020
The TI discussion paper "Maximum Likelihood Estimation for Score-Driven Time Series Models" has been updated. Joint work with Janneke van Brummelen, Siem Jan Koopman and Andre Lucas.

September 2020
Georgia Banava and Noah Stegehuis are joining my VIDI project as new doctoral researchers. Welcome!

September 2020
Michael van Baren and Roman Gorlov from PGGM have just started their doctoral research as external part-time PhDs. Welcome!

September 2020
Mariia Artemova has just joined our department as a doctoral researcher under the supervision of myself and prof Siem Jan Koopman. Welcome Mariia!

August 2020
The new econometrics summer workshop at the VU has just started!

August 2020
Just started as editor of the journal Open Economics.

July 2020
The manuscript "Missing observations in observation-driven time series models" has been accepted for publication in the Journal of Econometrics.

June 2020
Just started the 2020 round of meetings with all the TI doctoral researchers of the School of Business and Economics, as part of the doctoral directorship contact meetings. Will be meeting with new PhDs in September. Looking forward to meeting you all.

June 2020
A new working paper entitled "A New Class of Robust Observation-Driven Models" co-authored with Christian Francq and Sebastien Laurent is now available!

May 2020
The article "Finite Sample Optimality of Score Driven Models", with Andre Lucas and Andries Vlodrop is now published in the journal Econometrics and Statistics.

April 2020
A new working paper on "Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data" is now available! Joint work with Ilka van de Werve, Siem Jan Koopman and Meindert Hoogerkamp.

March 2020
Our doctoral researcher, Meindert Hoogerkamp, has just started additional projects as my research assistant. Thanks Meindert!

March 2020
First round of submissions for themed issue on Time-varying Parameters of the Journal of Econometrics where I'm serving as associate editor with prof Andre Lucas, prof Andrew Harvey and prof Siem Jan Koopman.

March 2020
A pleasure to lecture the first training session of the new course on time-series econometricsdirected at professionals and doctoral researchers.

February 2020
Delivering a new in-house data science training program devoted to time-series with Python for data scientists at Rabobank in Utrecht.

January 2020
Now working as doctoral director at SBE, together with the vice-dean of research Hans Berends, on new plans for TI doctoral researchers!

December 2019
Just starting the VIDI project, funded by NWO. Will be hiring doctoral researchers to join the project. Looking forward to the years ahead!

December 2019
My new book "Advanced Econometric Methods" devoted to nonlinear dynamic models is now published and available in stores!

November 2019
Two new executive teaching courses in econometrics and data science have just been announced! I'm happy to be the coordinator and developer of these courses. Even happier that we can count with the help and active participation of great lecturers and TAs including: Hande Karabiyik, Andre Lucas, Siem Jan Koopman, Artem Duplinskiy, Michiel Doornenbal and Matthijs Eigenhuis, among others. Thanks!

November 2019
The article "Nonlinear autoregressive models with optimality properties" has been accepted for publication in Econometric Reviews.

August 2019
For the first time, we delivered the summer course "Econometric Methods for Forecasting and Data Science" at the Tinbergen Institute, and the "Econometrics Summer Workshop" at the VU University Amsterdam (with Siem Jan Koopman).